VGA is a very old display technology. You should use it as a last resort.
Quality: Because VGA is analog and must be converted to a digital signal for HDMI, it is possible you might see some degradation in quality.
Reddit threads:
https://www.reddit.com/r/wacom/comments/txxvrt/bought_a_wacom_cintiq_22hd_but_i_have_no_dvi_or/